Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Renesas Electronics Corporation backtest
10 trend-following strategies were compared on the full daily history of Renesas Electronics Corporation. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -9.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.0%, drawdown -97.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.7%, MDD -44.0%, Sharpe 0.51, 19% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 53.8%p (CAGR 0.8%, MDD -9.5%, exposure 1%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=25, mult=2.9 |
9.7% | -44.0% | 0.51 | 0.22 | 8.4x | 76 | 19% |
| Supertrend period=27, mult=4.4 |
8.9% | -56.5% | 0.42 | 0.16 | 7.2x | 88 | 45% |
| Donchian 채널 돌파 entryN=66, exitN=9 |
5.9% | -40.8% | 0.37 | 0.14 | 3.7x | 80 | 18% |
| 볼린저 밴드 돌파 n=35, k=2.8 |
5.5% | -66.6% | 0.34 | 0.08 | 3.4x | 68 | 19% |
| SMA 크로스오버 fast=4, slow=289 |
4.9% | -61.3% | 0.31 | 0.08 | 3.0x | 57 | 40% |
| EMA 크로스오버 fast=37, slow=212 |
1.7% | -80.1% | 0.21 | 0.02 | 1.5x | 31 | 40% |
| ADX / DI 방향성 period=35, threshold=32 |
0.8% | -9.5% | 0.18 | 0.08 | 1.2x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.1% | -77.6% | 0.15 | -0.01 | 0.8x | 182 | 50% |
| MACD fast=19, slow=30, signal=18 |
-3.3% | -84.1% | 0.09 | -0.04 | 0.5x | 266 | 51% |
| ROC 모멘텀 n=70, threshold=0.1 |
-3.0% | -87.4% | 0.05 | -0.03 | 0.5x | 299 | 34% |
| Buy and hold | -2.0% | -97.9% | 0.22 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 25-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 25-day average